Change detection and the causal impact of the yield curve
Causal relationships in econometrics are typically based on the concept of predictability and are established by testing Granger causality. Such relationships are susceptible to change, especially during times of financial turbulence, making the real-time detection of instability an important practi...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2018
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2349 https://ink.library.smu.edu.sg/context/soe_research/article/3348/viewcontent/Change_Detection_Yield_Curve_sv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |